Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes

The level of trust in the local currency in Russia is very low largely because of relatively high inflation. As a result, Bank of Russia during crisis times can not afford monetary policy loosening and has to fight devaluation expectations. To change the situation in the post-crisis period Russia needs to live through a continuous period of low inflation. Modified inflation targeting can help achieve such a result. However, it should be amended with institutional changes, particularly development of hedging instruments.

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Impact of external currency exposures on macroeconomic policies

Voprosy Ekonomiki ◽

10.32609/0042-8736-2020-8-23-40 ◽

2020 ◽

pp. 23-40

Author(s):

I. V. Prilepskiy

Keyword(s):

Monetary Policy ◽

Exchange Rate ◽

Positive Impact ◽

Exchange Rate Regime ◽

Macroeconomic Policies ◽

Panel Regressions ◽

Financial Account ◽

Currency Exposure ◽

Cross Country ◽

The Impact

Based on cross-country panel regressions, the paper analyzes the impact of external currency exposures on monetary policy, exchange rate regime and capital controls. It is determined that positive net external position (which, e.g., is the case for Russia) is associated with a higher degree of monetary policy autonomy, i.e. the national key interest rate is less responsive to Fed/ECB policy and exchange rate fluctuations. Therefore, the risks of cross-country synchronization of financial cycles are reduced, while central banks are able to place a larger emphasis on their price stability mandates. Significant positive impact of net external currency exposure on exchange rate flexibility and financial account liberalization is only found in the context of static models. This is probably due to the two-way links between incentives for external assets/liabilities accumulation and these macroeconomic policy tools.

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The influence of inflation targeting on the pass-through effect of the exchange rate

Voprosy Ekonomiki ◽

10.32609/0042-8736-2018-11-70-84 ◽

2018 ◽

pp. 70-84

Author(s):

Ph. S. Kartaev ◽

Yu. I. Yakimova

Keyword(s):

Developing Countries ◽

Monetary Policy ◽

Exchange Rate ◽

Inflation Targeting ◽

Policy Regime ◽

Short And Long Term ◽

The Exchange Rate ◽

Pass Through ◽

The Impact

The paper studies the impact of the transition to the inflation targeting regime on the magnitude of the pass-through effect of the exchange rate to prices. We analyze cross-country panel data on developed and developing countries. It is shown that the transition to this regime of monetary policy contributes to a significant reduction in both the short- and long-term pass-through effects. This decline is stronger in developing countries. We identify the main channels that ensure the influence of the monetary policy regime on the pass-through effect, and examine their performance. In addition, we analyze the data of time series for Russia. It was concluded that even there the transition to inflation targeting led to a decrease in the dependence of the level of inflation on fluctuations in the ruble exchange rate.

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Monetary policy regimes in Russia: Guidelines for furtherquantitative studies

Voprosy Ekonomiki ◽

10.32609/0042-8736-2017-4-38-60 ◽

2017 ◽

pp. 38-60 ◽

Cited By ~ 7

Author(s):

A. Pestova

Keyword(s):

Monetary Policy ◽

Exchange Rate ◽

Interest Rates ◽

Quantitative Research ◽

Policy Regimes ◽

Policy Effects ◽

Exchange Rate Targeting ◽

Basic Parameters

This paper analyzes the basic parameters of monetary policy in 2000-2015 in Russia. We provide the overview of tools and objectives of monetary policy of the Bank of Russia and identify the periods of homogeneity of monetary policy regimes: from money base targeting to exchange rate targeting and finally, to interest rates policy. On the basis of this research we develop the recommendations for further quantitative research aimed at estimation of monetary policy effects in Russia.

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The Role of Different Channels in Transmitting Monetary Policy into Output and Price in Vietnam

Journal of Economics and Development ◽

10.33301/2015.17.01.02 ◽

2015 ◽

pp. 20-40

Author(s):

Vinh Nguyen Thi Thuy

Keyword(s):

Monetary Policy ◽

Exchange Rate ◽

Interest Rate ◽

Money Supply ◽

Monetary Transmission ◽

Impulse Response Functions ◽

Short Run ◽

The Exchange Rate ◽

The Interest Rate ◽

Interest Rate Channel

The paper investigates the mechanism of monetary transmission in Vietnam through different channels - namely the interest rate channel, the exchange rate channel, the asset channel and the credit channel for the period January 1995 - October 2009. This study applies VAR analysis to evaluate the monetary transmission mechanisms to output and price level. To compare the relative importance of different channels for transmitting monetary policy, the paper estimates the impulse response functions and variance decompositions of variables. The empirical results show that the changes in money supply have a significant impact on output rather than price in the short run. The impacts of money supply on price and output are stronger through the exchange rate and credit channels, but however, are weaker through the interest rate channel. The impacts of monetary policy on output and inflation may be erroneous through the equity price channel because of the lack of an established and well-functioning stock market.

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